rusty_backtest::features::volatility

Struct VolatilityEstimator

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pub struct VolatilityEstimator { /* private fields */ }
Expand description

Volatility estimator with exponential decay

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impl VolatilityEstimator

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pub const fn new(decay_factor: f64) -> Self

Create new volatility estimator

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pub fn update(&mut self, return_value: f64) -> f64

Update with new return and get current volatility estimate

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pub const fn get_volatility(&self) -> f64

Get current volatility estimate

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